This paper provides an exhaustive review of the literature on the characterization of financial
time series. A stylized fact is a term in economics used to refer to empirical findings that are …

The efficient market hypothesis (EMH) has been the central proposition of finance since the
early 1970s and is one of the most well-studied hypotheses in all the social sciences, yet …

Using high frequency data, this paper first time comprehensively examines the intraday
efficiency of four major energy (crude oil, heating oil, gasoline, natural gas) futures markets …

The finite sample properties of the Fourier estimator of integrated volatility under market
microstructure noise are studied. Analytic expressions for the bias and the mean squared …

Based on ultrahigh-frequency returns, this paper comprehensively revisits the weak-form
efficiency of the euro to Swiss franc (EUR/CHF) exchange rate market from 2002 to 2017 …